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Firm-level evidence on international stock market comovement

Brooks, Robin; Del Negro, Marco - Deutsche Bundesbank - 2005

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10005059019

Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lúcio - Deutsche Bundesbank - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...

Persistent link: https://www.econbiz.de/10005083257

What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?

Dötz, Niko; Fischer, Christoph - Deutsche Bundesbank - 2010

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

Persistent link: https://www.econbiz.de/10008564414

The discontinuous integration of Western Europe's heterogeneous market for corporate control from 1995 to 2007

Frey, Rainer - Deutsche Bundesbank - 2010

As, in Europe, many institutional reforms have been undertaken to establish an economic union, it can be expected that the relevance of borders has decreased over time. For the EU 15, we investigate the expected integration process of the market for corporate control - an illustrative market for...

Persistent link: https://www.econbiz.de/10008611435

Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors

Jochem, Axel; Volz, Ute - Deutsche Bundesbank - 2011

This paper aims to identify the determinants of portfolio restructuring in EMU member states since the introduction of the euro and especially during the financial turbulence of the past years. We find that, besides exchange rate volatility and traditional indicators of information and...

Persistent link: https://www.econbiz.de/10009004690

Diversification and determinants of international credit portfolios: Evidence from German banks

Böninghausen, Benjamin; Köhler, Matthias - Deutsche Bundesbank - 2012

unique dataset for a representative set of countries and ask why banks leave diversification opportunities unexploited in …

Persistent link: https://www.econbiz.de/10010984722

Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10005082768

International diversification at home and abroad

Cai, Fang; Warnock, Francis E. - Deutsche Bundesbank - 2005

for internationally diversified firms implies that investors might obtain substantial international diversification by … translates into international diversification benefits. After accounting for home-grown foreign exposure, the share of "foreign …

Persistent link: https://www.econbiz.de/10005083205

The home bias in equities and distribution costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - Deutsche Bundesbank - 2010

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...

Persistent link: https://www.econbiz.de/10008804629

Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios

Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - Deutsche Bundesbank - 2005

this end we measure diversification for all German banks in the period from 1993 to 2002. As measures we use a broad set of … naive diversification across all industries or, alternatively, the economy's industry structure. With this framework our … in this context innovative group of distance measures. We find that different statistical measures of diversification may …

Persistent link: https://www.econbiz.de/10005082787